2. Hardware Acceleration of OPRA Market Data Distribution
In algorithmic trading of financial instruments there is what you call the "first movers advantage". The speed at which trade participants based on market information can make trade decisions and return with new quotes to the market is most relevant. The faster an electronic trade participant based on received financial market data makes good trade decisions and places new quotes on the market the higher the probability that responsible trades in fact can be realized.
The latency requirement for a round trip i.e. reception and distribution of market data, opportunity identification, risk assessment, trade decision, and placing of new quotes is less than 1 milli second. At the same time volumes of financial market data have tremendously increased over the last years. Trade participants have to deal with millions of messages per second. Thus over the next couple of years trade participants will be facing extreme requirements w.r.t. throughput and latency.
The Speed Team Project 2 will investigate if feedhandling of the most demanding case, namely OPRA feeds (OPRA=Options Price Reporting Authority), can be accelerated with special hardware, here FPGA hardware.
The function to be offloaded to the FPGA hardware is:
- The network communication (Eth, IP, UPD, IGMP)
- The OPRA FAST decoding
- The filtering out of messages of interest based on content
- The routing of messages of interest to applications interested
Finally the achieved hardware acceleration will be benchmarked. You will work in a small team of 4 students for 5 months. The team will be supervised by 3 hardware/software domain experts.
